Document Type
Article
Publication Date
11-27-2018
Publication Title
Mathematics
Publisher
MDPI
Volume
6
Issue
12
First page number:
1
Last page number:
16
Abstract
We demonstrate the existence, uniqueness and Galerkin approximatation of linear ultraparabolic terminal value/infinite-horizon problems on unbounded spatial domains. Furthermore, we provide a probabilistic interpretation of the solution in terms of the expectation of an associated ultradiffusion process.
Keywords
Ultraparabolic equation; Ultradiffusion process; Probabilistic representation; Mathematical finance
Disciplines
Applied Mathematics
File Format
File Size
272 Kb
Language
English
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 License.
Repository Citation
Marcozzi, M. D.
(2018).
Probabilistic Interpretation of Solutions of Linear Ultraparabolic Equations.
Mathematics, 6(12),
1-16.
MDPI.
http://dx.doi.org/10.3390/math6120286
